How many times in the trading week does the Dow Jones.......

[nkruger]

I have an idea for a day trading system.
Can anyone answer this question ? How many times in a typical trading month does the Dow hit the previous day's close ? I haven't the feeds or programmes on my computer to back test this unfortunately. If it happens quite frequently, I believe I have the start of a system (which also ties in with economic news days)

NK

 

[dc2000]

whats your idea ?

 

[nkruger]

whats your idea ?

Well, I've only been SBing for real since 3 Jan this year (Paper trading since Oct '06) but I've noticed that on the days where there is NO economic data released on Wall St the Dow usually hits (or goes through) the previous day's close.

To give you an example, this morning I sold the Rolling Dow @12585 at 09:13 as it was 29 above the PDC which gave a reasonable profit potential accounting for spreads etc. Just before the opening at 14:30 I bought @ 12562 to give a profit of 23 points. My target is always fairly low, but the system should produce around 10 trades a month.

Is there an easy way of back testing the system ?

NK

 

[dc2000]

hi what you are effectively doing is trading the gap I have some stats somewhere

 

[nkruger]

hi what you are effectively doing is trading the gap I have some stats somewhere

Excellent. Would be keen to see anything you have in the way of statistics - or feedback on the method.

I've bought a couple of systems that help me trade the Dow fairly successfully but it's always nice to spot one of your own........

NK

 

[dwaddell]

Hi,

Theres a DOW method very similar to exactly what you describe by Glynn Massey of Dowdecoded. Not sure if its still available, but when I bought it some time ago this method, targeting the PDC on non-economic days was featured.

Dave

 

[nkruger]

Hi,

Theres a DOW method very similar to exactly what you describe by Glynn Massey of Dowdecoded. Not sure if its still available, but when I bought it some time ago this method, targeting the PDC on non-economic days was featured.

Dave

Hi Dave, his system is similiar but only looks for 10 points per trade, and he advocates just trading this method in the morning whereas I'm testing for a 'whole day trade'.

I've just done a quick back test on the Finspread charts (that's all I have) and out of 9 trading days this year, the PDC was hit on 8 of them, and with some good profits as well.

NK

 

[dc2000]

cant seem to find my stats but it may be worth a look at http://www.cbot.com/cbot/pub/cont_detail/0,3206,1070+14719,00.html and also the enclosed file on the SP500 gaps the stats seem to come out in a single colum so you may have to adjust them back in to tabular format

 

[nkruger]

cant seem to find my stats but it may be worth a look at http://www.cbot.com/cbot/pub/cont_detail/0,3206,1070+14719,00.html and also the enclosed file on the SP500 gaps the stats seem to come out in a single colum so you may have to adjust them back in to tabular format

Thank you dc, that CBOT link was a very interesting read with my afternoon tea. I'll have a look stats later as well.

NK

 

[Lightning McQueen]

I have an idea for a day trading system.
Can anyone answer this question ? How many times in a typical trading month does the Dow hit the previous day's close ? I haven't the feeds or programmes on my computer to back test this unfortunately. If it happens quite frequently, I believe I have the start of a system (which also ties in with economic news days)

NK

Hi nkruger

I have looked at your idea on a 30 min chart, it actually appears at first glance rather promising.

Strong trends will be missed but picks up whippy action just fine :idea:

Using the previous days open, rather than the close may give a more reliable buy/sell level, but this would need more testing.

cheers

don

 

[nkruger]

Well Don, reading your post with my first glass of Chablis of the evening I'm encouraged by your theory of the Previous Day's Open rather than Close. That hadn't occured to me, but I will have a look at it with regards to this year's performance. I will report back tomorrow as I have the feeling that it's all going to become a bit blurreeeeeee......

 

[nkruger]

I've just had a look at some charts that I have available to me from Messrs Finspreads and it looks like the PDC is hit almost EVERYTIME the next day for the whole of 2006 (maybe once a month it misses it) All looks quite promising. Mmmmmm

 

[Davidee]

I'm thinking of testing a system like this, but I can't because I don't have the data. Can anyone test it for me? Or if you give me the data I'll test it with SQL and post the results (and the code too if anyone wants it)?

I was thinking the Pivot Point could be buy or sell signal, and the close could be the profit target. I could tell you how many days where the pivot point is hit, the close is then later hit if someone were to provide me with some 1, 5 or 15 minute OHLC Dow data.

 

[Lightning McQueen]

Hey What Gives????

I've tried to upload a txt file with 5 min dow data for play time, unfortunatly it may be too large a file at 3.5 MB and fails to upload

Can someone assist

Sorry

 

[trendie]

I've tried to upload a txt file with 5 min dow data for play time, unfortunatly it may be too large a file at 3.5 MB and fails to upload

Can someone assist

Sorry

can you zip the file at all?
alternative there is a "yousendit" type facility where you can hold a file to a third party server, and allow others to download it. (you may have to register, but they tend to be free)

 

[Lightning McQueen]

can you zip the file at all?
alternative there is a "yousendit" type facility where you can hold a file to a third party server, and allow others to download it. (you may have to register, but they tend to be free)

Thanks for the help trendie, if I cant zip the file, I'll do the other, good idea, cheers.

I suppose my main gripe with their system is that it says we can upload 5+ MB's but as usual its not the case, I've tried doing similar stuff before without much success, there just comes a point of rather not bothering to be honest. I think i've had enough

edit
I sent the mad axeman to the file and had it mercilessly chopped down in size so it will fit in to the pathetic size pigeon hole that the admin allow us. consequently the data starts from mid 2006 instead of start 2004.....enjoy

 

[Davidee]

Thanks for that; the 5 minute data file has 310 trading days in it. In 211 of these days the Dow hit it's previous close, 99 days it didn't.

I'll run a test later and tell you if it reaches the previous days pivot point what the chances are of it hitting the close later that day and what the average win size is.

 

[Vampie_1407]

Does anyone still trade this way? How would I know when non-economic days are?

 

[fasalm786]

Trading Strategy

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Well Don, reading your post with my first glass of Chablis of the evening I'm encouraged by your theory of the Previous Day's Open rather than Close. That hadn't occured to me, but I will have a look at it with regards to this year's performance. I will report back tomorrow as I have the feeling that it's all going to become a bit blurreeeeeee......

 

[anel2ka]

Well Don, reading your post with my first glass of Chablis of the evening I'm encouraged by your theory of the Previous Day's Open rather than Close. That hadn't occured to me, but I will have a look at it with regards to this year's performance. I will report back tomorrow as I have the feeling that it's all going to become a bit blurreeeeeee......

Just wondering how you guys are getting on with backtesting this strategy?

Looks very promising!